## max vs. min

Posted in Books, Kids, Statistics with tags , , , , , , , , on March 26, 2022 by xi'an

Another intriguing question on X validated (about an exercise in Jun Shao’s book) that made me realise a basic fact about exponential distributions. When considering two Exponential random variables X and Y with possibly different parameters λ and μ,  Z⁺=max{X,Y} is dependent on the event X>Y while Z⁻=min{X,Y} is not (and distributed as an Exponential variate with parameter λ+μ.) Furthermore, Z⁺ is distributed from a signed mixture

$\frac{\lambda+\mu}{\mu}\mathcal Exp(\lambda)-\frac{\lambda}{\mu}\mathcal Exp(\lambda+\mu)$

conditionally on the event X>Y, meaning that there is no sufficient statistic of fixed dimension when given a sample of n realisations of Z⁺’s along with the indicators of the events X>Y…. This may explain why there exists an unbiased estimator of λ⁻¹-μ⁻¹ in this case and (apparently) not when replacing Z⁺ by Z⁻. (Even though the exercise asks for the UMVUE.)

## invertible flow non equilibrium sampling (InFiNE)

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , on May 21, 2021 by xi'an

With Achille Thin and a few other coauthors [and friends], we just arXived a paper on a new form of importance sampling, motivated by a recent paper of Rotskoff and Vanden-Eijnden (2019) on non-equilibrium importance sampling. The central ideas of this earlier paper are the introduction of conformal Hamiltonian dynamics, where a dissipative term is added to the ODE found in HMC, namely

$\dfrac{\text d p_t}{\text dt}=-\dfrac{\partial}{\partial q}H(q_t,p_t)-\gamma p_t=-\nabla U(q_t)-\gamma p_t$

which means that all orbits converge to fixed points that satisfy ∇U(q) = 0 as the energy eventually vanishes. And the property that, were T be a conformal Hamiltonian integrator associated with H, i.e. perserving the invariant measure, averaging over orbits of T would improve the precision of Monte Carlo unbiased estimators, while remaining unbiased. The fact that Rotskoff and Vanden-Eijnden (2019) considered only continuous time makes their proposal hard to implement without adding approximation error, while our approach is directly set in discrete-time and preserves unbiasedness. And since measure preserving transforms are too difficult to come by, a change of variable correction, as in normalising flows, allows for an arbitrary choice of T, while keeping the estimator unbiased. The use of conformal maps makes for a natural choice of T in this context.

The resulting InFiNE algorithm is an MCMC particular algorithm which can be represented as a  partially collapsed Gibbs sampler when using the right auxiliary variables. As in Andrieu, Doucet and Hollenstein (2010) and their ISIR algorithm. The algorithm can be used for estimating normalising constants, comparing favourably with AIS, sampling from complex targets, and optimising variational autoencoders and their ELBO.

I really appreciated working on this project, with links to earlier notions like multiple importance sampling à la Owen and Zhou (2000), nested sampling, non-homogeneous normalising flows, measure estimation à la Kong et al. (2002), on which I worked in a more or less distant past.

Posted in Books, Kids, Statistics, University life with tags , , , on May 16, 2020 by xi'an

Based on a (basic) question on X validated, I re-read Halmos‘ (1946) famous paper on the non-existence of centred moments of order larger than the sample size. While the exposition may sound a wee bit daunting, the reasoning is essentially based on a recursion and the binomial theorem, since expanding the kth power leads to lesser moments, all of which can be estimated from a subsample.

## unbiased MCMC discussed at the RSS tomorrow night

Posted in Books, Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on December 10, 2019 by xi'an

The paper ‘Unbiased Markov chain Monte Carlo methods with couplings’ by Pierre Jacob et al. will be discussed (or Read) tomorrow at the Royal Statistical Society, 12 Errol Street, London, tomorrow night, Wed 11 December, at 5pm London time. With a pre-discussion session at 3pm, involving Chris Sherlock and Pierre Jacob, and chaired by Ioanna Manolopoulou. While I will alas miss this opportunity, due to my trip to Vancouver over the weekend, it is great that that the young tradition of pre-discussion sessions has been rekindled as it helps put the paper into perspective for a wider audience and thus makes the more formal Read Paper session more profitable. As we discussed the paper in Paris Dauphine with our graduate students a few weeks ago, we will for certain send one or several written discussions to Series B!

## unbiased estimators that do not exist

Posted in Statistics with tags , , , , , , , on January 21, 2019 by xi'an

When looking at questions on X validated, I came across this seemingly obvious request for an unbiased estimator of P(X=k), when X~B(n,p). Except that X is not observed but only Y~B(s,p) with s<n. Since P(X=k) is a polynomial in p, I was expecting such an unbiased estimator to exist. But it does not, for the reasons that Y only takes s+1 values and that any function of Y, including the MLE of P(X=k), has an expectation involving monomials in p of power s at most. It is actually straightforward to establish properly that the unbiased estimator does not exist. But this remains an interesting additional example of the rarity of the existence of unbiased estimators, to be saved until a future mathematical statistics exam!